You are using an out of date browser. It may not display this or other websites correctly.
You should upgrade or use an alternative browser.
You should upgrade or use an alternative browser.
riskarb's trading journal
- Thread starter riskarb
- Start date
- Status
- Not open for further replies.
Quote from riskarb:
SPX no touch // short synthetic straddle [weak]:
SPX bull no touch: 1232.00
Premium: $294,000
Payout: $500,000 [includes prem paid]
Expires: June 1, 2006
Negative edge: a lot
Strike/barrier volatility: 12.90%
Symmetrical hedge: NA
Initial hedge: Short 100 June ES futures at 1250.00
Sold NT to close position at $465,500... Modeled at $480,000, but pointless to hold for a week for $34k in decay and possible reversion. I would hold if the synth were traded strong and allowed a b/e or better at the barrier. Offset 80 futures at 1276.00 avg.
Page 56 1232.00 no touch: +$171,500
Futures hedge: ($115,300)
Page 58 blotter tally: ($91,175)
Journal blotter to date: ($34,975) ... flat positions.
[journal blotter 4]
Quote from riskarb:
Sold NT to close position at $465,500... Modeled at $480,000, but pointless to hold for a week for $34k in decay and possible reversion. I would hold if the synth were traded strong and allowed a b/e or better at the barrier. Offset 80 futures at 1276.00 avg.
Page 56 1232.00 no touch: +$171,500
Futures hedge: ($115,300)
Page 58 blotter tally: ($91,175)
Journal blotter to date: ($34,975) ... flat positions.
[journal blotter 4]
did collapse in SPX vols helped your early exit from 1232 NT ?
Risk, do you sell these positions back to the same dealer you bought them from or do you exit them via another dealer?
Quote from riskarb:
Sold NT to close position at $465,500... Modeled at $480,000, but pointless to hold for a week for $34k in decay and possible reversion. I would hold if the synth were traded strong and allowed a b/e or better at the barrier. Offset 80 futures at 1276.00 avg.
Page 56 1232.00 no touch: +$171,500
Futures hedge: ($115,300)
Page 58 blotter tally: ($91,175)
Journal blotter to date: ($34,975) ... flat positions.
[journal blotter 4]
What's the max size you think one could execute in these kind of trades. Let say you're managing a multi-billion dollar fund and need to take large positions. Would this be feasible? How big can you get?
Thanks, risk!
Thanks, risk!
Quote from riskarb:
$818,000 on a million. $82mil would raise some eyebrows. =)
Quote from CPTrader:
Risk, do you sell these positions back to the same dealer you bought them from or do you exit them via another dealer?
Yes, unless they're intent on marking it heavily against me. They know that I have an FV estimate that is spot-on, but it doesn't preclude an attempt to make a ridiculous market. The biggest disadvantage to a dealer-market is being known. I can cover with any of the three I use, but would prefer to keep it clean.
Quote from CPTrader:
What's the max size you think one could execute in these kind of trades. Let say you're managing a multi-billion dollar fund and need to take large positions. Would this be feasible? How big can you get?
Thanks, risk!
I really haven't a clue. Many of these position are priced egregiously; higher notionals are often linear with w.r.t. poorer fills. There isn't a ready-made replication and it takes some calls. Often they'd rather not take the opposing side. They will deal, but at what price? The answer is a market so advantageous that the dealer is certain of a profitable offset with one phone call.
Quote from riskarb:
Yes, unless they're intent on marking it heavily against me. They know that I have an FV estimate that is spot-on, but it doesn't preclude an attempt to make a ridiculous market. The biggest disadvantage to a dealer-market is being known. I can cover with any of the three I use, but would prefer to keep it clean.
Thx. If you offset via another dealer do you encounter increased margin usage on your portfolio as this will now be considered as a NEW POSITION to this dealer. Or is there some prime brokerage mechnaism for exotics to net offsetting portfolio positions. I think I read somewhere that Godlman offers this service. Are you aware of this? What do you do?
- Status
- Not open for further replies.